Human Capital, Weak Identification, and Asset Pricing

Qiang Zhang ()

Journal of Money, Credit and Banking, 2006, vol. 38, issue 4, 873-899

Abstract: I develop a new approach to accounting for human capital and essentially all stock and non-stock wealth in estimating the return on wealth portfolio. Using the estimated return and aggregate U.S. data in weak-identification robust tests of the Epstein and Zin (1991) and Weil (1990) model, I find that the model can simultaneously match the historical average equity premium, risk-free rate, and stock return volatility with reasonable parameter values.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:38:y:2006:i:4:p:873-899

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